Pretty simple. You don't have to replace the entire switch as some dealerships will make you try to believe. You just need a replacement 12v bulb around the same size. I got mine from Radio Shack as seen here.

Edit - 1/26/14 - by request of a user that found this helpful, here is the Radio Shack Part # 272-1092

Start by disassembling the dash. There is one plastic rivet that you can loosen with a phillips screwdriver. Pull it out.

Then there are two phillips screws on the bottom on either side.

Depending on which one burnt out, unclip the harness and pop out the switch.

Now here you'll see what appear to look like plastic screws. This is actually what houses the bulb assembly. I am unsure if the red one is used, but my bulb is in the blue one. You can see the wire leads as a good indicator. Take a phillips or a flat head and unlock it. It is only about an 1/8th of a turn. Don't force it. It doesn't screw out. Then take something sharp and pointed or a very flat knife blade to pop it out. I used an xacto knife.

Here you can see the bulb in its assembly. Notice the wire wraps around the top of the plastic piece. This is what makes contact on the copper plates on the switch.

I removed the old one by unclipping the wires with my knife. Then threaded the new bulb thru the holes.

Now start wrapping around the wire like the old one was. Make note the wires must wrap over the top so it can make contact when putting it back in.

Competed and trimmed with my knife. Don't put it back in with the leads shorted!!

Good as new. Don't forget to re-tighten the assembly to lock it in place. Now put it back and assemble everything back together.